What engine do you have? If you're 1.8T then you don't need anything other than stock.

 

Anyone know if the ChromeIntakes CAI with the K&N filter from EBay is any good? Am I going to need heat shield for it?

 

I have a 2001 2.8.

 

Your car will sound better above 3500RPM and you'll never have to buy another filter. With or without the heat shield you won't gain much in the way of power. The FAQ sticky post at the top of the forum will explain it all.